Bayesian selection of threshold autoregressive models

DOI10.1111/J.1467-9892.2004.01726.XzbMath1062.62165OpenAlexW3122752978MaRDI QIDQ4677025

Edward P. Campbell

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01726.x

zbMATH Keywords

reversible jump MCMCorder selectionSETAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (5)

Improved model selection criteria for SETAR time series models ⋮ Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models ⋮ Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models ⋮ Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy ⋮ Bayesian Model Uncertainty In Smooth Transition Autoregressions

Cites Work

• Unnamed Item
• A Bayesian analysis of generalized threshold autoregressive models
• A note on the corrected Akaike information criterion for threshold autoregressive models
• Automatic Bayesian Curve Fitting
• Modeling a Poisson Forest in Variable Elevations: A Nonparametric Bayesian Approach

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